%0 Journal Article
%T Controlled diffusion processes
%A Vivek S. Borkar
%J Mathematics
%D 2005
%I arXiv
%R 10.1214/154957805100000131
%X This article gives an overview of the developments in controlled diffusion processes, emphasizing key results regarding existence of optimal controls and their characterization via dynamic programming for a variety of cost criteria and structural assumptions. Stochastic maximum principle and control under partial observations (equivalently, control of nonlinear filters) are also discussed. Several other related topics are briefly sketched.
%U http://arxiv.org/abs/math/0511077v2